Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type (Q1351232): Difference between revisions

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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+Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
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+Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
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+Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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+Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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+Time Series Regression with a Unit Root
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+Testing for a unit root in time series regression
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